Windows Firewall reports no firewall

I need to use Black Ice firewall for work and XP doesn’t recognize it. On the firewall screen I check the box that says I have a firewall that I will monitor myself.

The next day I boot the machine and am informed I have no firewall and my computer is unprotected. I check the box and click ok.

The next day I boot the machine and am informed… I feel like I am staring in Groundhog Day.

Does anyone know how to turn this off so it will stay off?

Thanks
Tim